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Efficiency Perspective: an illustration of the Portuguese capital market
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Orientador(es)
Resumo(s)
The paper seeks to illustrate the behaviour of the Portuguese Stock Market from
an efficiency perspective. The purpose was achieved by analysing daily stock
market returns in terms of distribution and correlation, testing weak form of
efficient market hypothesis and identifying its implications. Alternatively, a
comparison of warrant market prices with a calculated price was implemented as
an assessment of the previous investigation. The application of both methods
results in a rejection of the joint hypothesis of weak form efficiency and the
random walk model of price behaviour, even though strong signs of a sustained
progression towards efficiency are highlighted.
Descrição
Work Project presented as a partial requisite to conclude the Masters in Economics, at the Faculdade de Economia da Universidade Nova de Lisboa
Palavras-chave
Weak form market efficiency random walk bad model specification fair value